Dynamic Acceptability Indices
Systemic Risk
Description
Tao Chen
Title: Dynamic Acceptability Indices
Mr. Tao Chen will report the paper 鈥漁n Consistent Valuations Based on Distorted Expectations: from Multinomial Random Walks to Levy Processes鈥 by Madan, Pistorius and Stadje.
Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin Chang will 铿乶alize the topic about calibrating default intensity from lending activities and report the paper 鈥淐VA for Bilateral Counterparty Risk of Collateralized Contracts under Systemic Risk鈥 by Durand and Rutkowski.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning